Citi Group Wholesale Credit Loss Modeling - AVP 

United States, Florida, Tampa 

875674213

• This is a highly visible individual contributor position within the organization, covering a wide range of responsibilities to support the risk management of global wholesale credit portfolios. The successful candidate will be a part of highly productive analytical team and lead all aspects of the model development life cycle, which includes interaction with Senior Risk, Finance, Model Validation, and Business Managers, Internal Auditors and Regulators.

• Responsibilities:
  • Research, develop, and test wholesale credit loss models used for regulatory stress testing and reserves calculation including CCAR/DFAST/ICAAP/CECL and internal stress testing
  • Implement credit loss models in python or other for both model execution, testing, and analytical tools
  • Support business, finance, risk managers, fundamental credit risk, model validation, internal audit, and banking supervisors for stress testing related discussions
  • Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
  • Actively engage across all model development teams with CORA, including PD/LGD/EAD models, and CECL/IFRS9 models.
• Qualifications:
  • Master or PhD degree from a quantitative field (Mathematics, Physics, Computer Science, Econometrics, Statistics, Economics, Finance, etc.) is required.
  • 2+ years of experience in quantitative financial modeling. Hands-on experience with the research, development, and implementation of financial models.
  • Extensive knowledge of wholesale credit products and financial markets at a financial institution is preferred.
  • Good knowledge of bank stress testing in wholesale credit portfolios. Experience in CCAR and other stress testing, PD/LGD/EAD modeling, or CECL/IFRS9 calculation is a plus.
  • Familiar with statistics packages and regression models.
  • Strong programming skills in Python and solid knowledge in Linux.
  • Excellent communication skills, verbal as well as written.

Anticipated Posting Close Date:

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